On the robustness of short-term interest rate models

This paper investigates the robustness of a range of short–term interest rate models. We examine the robustness of these models over different data sets, time periods, sampling frequencies, and estimation techniques. We examine a range of popular one–factor models that allow the conditional mean (drift) and conditional variance (diffusion) to be functions of the current short rate. We find that parameter estimates are highly sensitive to all of these factors in the eight countries that we examine. Since parameter estimates are not robust, these models should be used with caution in practice.

On the estimation and comparison of short-rate models using the generalised method of moments

Subsequent to the influential paper of [Chan, K.C., Karolyi, G.A., Longstaff, F.A., Sanders, A.B., 1992. An empirical comparison of alternative models of the short-term interest rate. Journal of Finance 47, 1209-1227], the generalised method of moments (GMM) has been a popular technique for estimation and inference relating to continuous-time models of the short-term interest rate. GMM has been widely employed to estimate model parameters and to assess the goodness-of-fit of competing short-rate specifications. The current paper conducts a series of simulation experiments to document the bias and precision of GMM estimates of short-rate parameters, as well as the size and power of [Hansen, L.P., 1982. Large sample properties of generalised method of moments estimators. Econometrica 50, 1029-1054], J-test of over-identifying restrictions. While the J-test appears to have appropriate size and good power in sample sizes commonly encountered in the short-rate literature, GMM estimates of the speed of mean reversion are shown to be severely biased. Consequently, it is dangerous to draw strong conclusions about the strength of mean reversion using GMM. In contrast, the parameter capturing the levels effect, which is important in differentiating between competing short-rate specifications, is estimated with little bias. (c) 2006 Elsevier B.V. All rights reserved.

Predictors of local recurrence after treatment of ductal carcinoma in situ - A meta-analysis

lBACKGROUND. Management of patients with ductal carcinoma in situ (DCIS) is a dilemma, as mastectomy provides nearly a 100% cure rate but at the expense of physical and psychologic morbidity. It would be helpful if we could predict which patients with DCIS are at sufficiently high risk of local recurrence after conservative surgery (CS) alone to warrant postoperative radiotherapy (RT) and which patients are at sufficient risk of local recurrence after CS + RT to warrant mastectomy. The authors reviewed the published studies and identified the factors that may be predictive of local recurrence after management by mastectomy, CS alone, or CS + RT. METHODS. The authors examined patient, tumor, and treatment factors as potential predictors for local recurrence and estimated the risks of recurrence based on a review of published studies. They examined the effects of patient factors (age at diagnosis and family history), tumor factors (sub-type of DCIS, grade, tumor size, necrosis, and margins), and treatment (mastectomy, CS alone, and CS + RT). The 95% confidence intervals (CI) of the recurrence rates for each of the studies were calculated for subtype, grade, and necrosis, using the exact binomial; the summary recurrence rate and 95% CI for each treatment category were calculated by quantitative meta-analysis using the fixed and random effects models applied to proportions. RESULTS, Meta-analysis yielded a summary recurrence rate of 22.5% (95% CI = 16.9-28.2) for studies employing CS alone, 8.9% (95% CI = 6.8-11.0) for CS + RT, and 1.4% (95% CI = 0.7-2.1) for studies involving mastectomy alone. These summary figures indicate a clear and statistically significant separation, and therefore outcome, between the recurrence rates of each treatment category, despite the likelihood that the patients who underwent CS alone were likely to have had smaller, possibly low grade lesions with clear margins. The patients with risk factors of presence of necrosis, high grade cytologic features, or comedo subtype were found to derive the greatest improvement in local control with the addition of RT to CS. Local recurrence among patients treated by CS alone is approximately 20%, and one-half of the recurrences are invasive cancers. For most patients, RT reduces the risk of recurrence after CS alone by at least 50%. The differences in local recurrence between CS alone and CS + RT are most apparent for those patients with high grade tumors or DCIS with necrosis, or of the comedo subtype, or DCIS with close or positive surgical margins. CONCLUSIONS, The authors recommend that radiation be added to CS if patients with DCIS who also have the risk factors for local recurrence choose breast conservation over mastectomy. The patients who may be suitable for CS alone outside of a clinical trial may be those who have low grade lesions with little or no necrosis, and with clear surgical margins. Use of the summary statistics when discussing outcomes with patients may help the patient make treatment decisions. Cancer 1999;85:616-28. (C) 1999 American Cancer Society.

Modelling the Distribution of Ischaemic Stroke-Specific Survival Time Using an EM-based Mixture Approach with Random Effects Adjustment

A two-component survival mixture model is proposed to analyse a set of ischaemic stroke-specific mortality data. The survival experience of stroke patients after index stroke may be described by a subpopulation of patients in the acute condition and another subpopulation of patients in the chronic phase. To adjust for the inherent correlation of observations due to random hospital effects, a mixture model of two survival functions with random effects is formulated. Assuming a Weibull hazard in both components, an EM algorithm is developed for the estimation of fixed effect parameters and variance components. A simulation study is conducted to assess the performance of the two-component survival mixture model estimators. Simulation results confirm the applicability of the proposed model in a small sample setting. Copyright (C) 2004 John Wiley Sons, Ltd.

Efficacy of praziquantel against Schistosoma japonicum: field evaluation in an area with repeated chemotherapy compared with a newly identified endemic focus in Hunan, China

This study conducted in 1999/2000 was designed to evaluate the efficacy of praziquantel against Schistosoma japonicum in an area with repeated chemotherapy (Area A) compared with a newly identified endemic focus (Area B) in Hunan Province, China. The population size was 2015 and 2180 in Areas A and B, respectively, of which 1129 and 1298 subjects received stool examination. A total of 230 subjects were identified by the Kato-Katz technique (4 smears per person) as being infected with S. japonicum, 124 in Area A (prevalence 11 %) and 106 in Area B (prevalence 8.2%). They were treated with a single oral dose of praziquantel (40 mg/kg) in the non-transmission season. A follow-up stool examination was made 50 days after treatment. Among the 220 cases followed, 22 were found stool-egg-positive, with an overall cure rate of 90 %, and 99 % reduction of infection intensity (eggs per gram stool). No significant difference was found in cure rates between the 2 areas (89.7% vs 90.3%). The efficacy of the drug in the area with repeated chemotherapy was not significantly different from that in the newly identified endemic focus. This study, therefore, suggests that the efficacy of praziquantel against S. japonicum has not changed in the Dongting Lake region after more than 14 years of mass chemotherapy, and there is no evidence of tolerance or resistance of S. japonicum against praziquantel.

Pediculus humanus capitis infestations in the community: A pilot study into transmission, treatment and factors affecting control

Head lice (Pediculus humanus capitis) infestations affect schoolchildren worldwide, creating social, economic and health consequences for families. Problems with self-detection, chronic infestations and classroom transmission are compounded by increasing resistance of the lice to pediculicides. Public health strategies are based on limited research and little is known about transmission dynamics. Mismanagement and transmission in the general community are blamed for control failure. The purpose of this study was to explore community head-lice experience in Brisbane, Australia, and to identify critical factors underlying control failure. A home-based pilot survey used physical examination to verify transmission and treatment patterns which were self-reported by a group of trace-contact families in addition to other unconnected participants. The survey was enlarged to further compare therapy outcomes and suspected risk factors. The findings reinforce those of previous studies - that children attending school and early childhood centres, and subsequently their families, are most at risk of contracting pediculosis capitis, and some may carry lice for years. First-line (pediculicidal) treatment and even additional physical methods of hand-picking and fine-toothed combing usually fail to eradicate lice quickly and completely (overall cure-rate 39 per cent, n = 84 cases). Failures were linked to hair characteristics. Public education alone may not control pediculosis. Accurate diagnosis requires considerable experience; a strong case exists for returning to institutional surveillance.

Reinfection with Schistosoma haematobium following school-based chemotherapy with praziquantel in four highly endemic villages in Côte d'Ivoire

We present the comparative evaluation of school-based chemotherapy with praziquantel on Schistosoma haematobium reinfection patterns, 6, 12, 18 and 24 months after systematic treatment of schoolchildren in four villages of south-central Côte d'Ivoire. At baseline, very high S. haematobium infection prevalences of 88–94% were found in Taabo Village, located adjacent to a large man-made lake, and in Batera and Bodo, where small dams were constructed. In Assinzé, a village with no man-made environmental alterations, the baseline infection prevalence was significantly lower (67%). The parasitological cure rate, assessed 4 weeks after praziquantel administration in the village with the highest prevalence and intensity of infection, was high (82%), and showed a clear association with infection intensity prior to treatment. Six months after chemotherapy, significant reductions in the prevalence and intensity of infection were observed in all villages. However, infection prevalence was again high in Taabo Village (63%) and in Batera (49%). Different patterns of reinfection occurred in the four villages: rapid reinfection in Taabo Village to reach almost baseline infection prevalence 12 months post-treatment; slow but gradual increase in the prevalence and intensity of infection in Bodo; marked increase in prevalence and intensity of infection during the second year of the follow-up in Assinzé; and prevalence and intensity of infection that remained almost constant between 6 and 24 months post-treatment in Batera. Our study confirms that S. haematobium reinfection patterns largely depend on the local epidemiological setting, which is of central importance to tailoring treatment strategies that are well adapted to these different settings.

Parathyroid hormone venous sampling prior to reoperation for primary hyperparathyroidism

Background: The surgical cure rate for primary hyperparathyroidism is greater than 95%. For those who have recurrent or persistent disease, preoperative localization improves reoperation success rates. Selective parathyroid venous sampling (SPVS) for intact parathyroid hormone is particularly useful when non-invasive localization techniques are negative or inconclusive. Methods: We present all known cases (n = 13) between 1994 and 2002 who had venous sampling for localization at our institution prior to reoperation for recurrent or persistent primary hyperparathyroidism. Comparison was made with non-invasive localization procedures. Results of invasive and non-invasive localization were correlated with surgical findings. Results: Of the nine reoperated cases, eight had positive correlations between SPVS and operative findings and histopathology. SPVS did not reveal the parathyroid hormone source in one case with negative non-invasive localization procedures. Comparisons between SPVS, computerized tomography (CT), and parathyroid scintigraphy (MIBI) as expressed in terms of true positive (TP), false positive (FP) and false negative (FN) were: SPVS - TP 88.8%, FP 0%, FN 11.1%; CT - TP 22.2%, FP 22.2%, FN 55.5%; and MIBI - TP 33.3%, FP 0%, FN 66.6%. At least seven of the nine operated cases have been cured; another remained normocalcaemic 2 weeks after subtotal parathyroidectomy. Conclusion: In our institution SPVS has proven to be a valuable tool in cases with recurrent or persistent primary hyperparathyroidism and negative non-invasive localization procedures.

Are there non-linearities in short-term interest rates?

The present paper investigates the characteristics of short-term interest rates in several countries. We examine the importance of nonlinearities in the mean reversion and volatility of short-term interest rates. We examine various models that allow the conditional mean (drift) and conditional variance (diffusion) to be functions of the current short rate.We find that different markets require different models. In particular, we find evidence of nonlinear mean reversion in some of the countries that we examine, linear mean reversion in others and no mean reversion in some countries. For all countries we examine, there is strong evidence of the need for the volatility of interest rate changes to be highly sensitive to the level of the short-term interest rate. Out-of-sample forecasting performance of one-factor short rate models is poor, stemming from the inability of the models to accommodate jumps and discontinuities in the time series data.

Poverty and the economic effects of TB in rural China

OBJECTIVE: To investigate the economic effects of illness on individual tuberculosis (TB) cases in rural China and to use a case-control study to show a strong TB-poverty link. SETTING: In 2002-2004 we studied 160 new smear-positive pulmonary tuberculosis (PTB) cases and 320 age- and sex-matched controls living in neighbouring houses in four rural counties of Henan Province. DESIGN: Cases and controls were interviewed 1-3 months after patients were diagnosed. We used matched multivariate logistic regression to compare cases with controls for poverty status using household income, household assets and relative wealth within the village. We conducted follow-up interviews of patients 10-12 months later to assess economic effects by collecting data on treatment costs, income losses, coping strategies and treatment completion. RESULTS: Poverty is strongly associated with TB incidence even after controlling for smoking and other risk factors. Excluding income losses, direct out-of-pocket treatment costs (medical and non-medical) accounted for 55.5 % of average annual household income, and most TB cases fell into heavy debt. The DOTS cure rate was 91 %. When DOTS was incomplete or not done, mortality was high. CONCLUSIONS: Poverty is both a cause and a devastating outcome of TB. Ongoing poverty reduction schemes in China must also include reducing TB.

Accelerating seismic energy release and evolution of event time and size statistics: Results from two heterogeneous cellular automaton models

The evolution of event time and size statistics in two heterogeneous cellular automaton models of earthquake behavior are studied and compared to the evolution of these quantities during observed periods of accelerating seismic energy release Drier to large earthquakes. The two automata have different nearest neighbor laws, one of which produces self-organized critical (SOC) behavior (PSD model) and the other which produces quasi-periodic large events (crack model). In the PSD model periods of accelerating energy release before large events are rare. In the crack model, many large events are preceded by periods of accelerating energy release. When compared to randomized event catalogs, accelerating energy release before large events occurs more often than random in the crack model but less often than random in the PSD model; it is easier to tell the crack and PSD model results apart from each other than to tell either model apart from a random catalog. The evolution of event sizes during the accelerating energy release sequences in all models is compared to that of observed sequences. The accelerating energy release sequences in the crack model consist of an increase in the rate of events of all sizes, consistent with observations from a small number of natural cases, however inconsistent with a larger number of cases in which there is an increase in the rate of only moderate-sized events. On average, no increase in the rate of events of any size is seen before large events in the PSD model.